金工点评报告：市场预期分化，小盘风险偏高

• The report introduces the dividend point forecast for stock index futures contracts, predicting the dividend points for CSI 500, CSI 300, SSE 50, and CSI 1000 indices as 83.37, 89.04, 72.62, and 66.69 respectively for the next year[6][8][13][15] - The methodology for dividend point prediction is based on the approach outlined in the "Cinda Financial Engineering Derivatives Research Report Series II"[6] - The report explains the adjustment of basis for stock index futures contracts, where the annualized basis is calculated as: $ Annualized Basis = (Actual Basis + (Expected) Dividend Points) / Index Price × 360 / Remaining Days of Contract $[17] - The IC contract's dividend-adjusted annualized basis fluctuated during the week, with a current discount of 3.51%, showing an upward trend compared to the previous week[18] - The IF contract's dividend-adjusted annualized basis declined during the week, with a current discount of 0.16%, showing a downward trend compared to the previous week[22] - The IH contract's dividend-adjusted annualized basis increased during the week, with a current premium of 1.41%, showing an upward trend compared to the previous week[27] - The IM contract's dividend-adjusted annualized basis fluctuated during the week, with a current discount of 6.02%, showing an upward trend compared to the previous week[33] - The report evaluates the performance of hedging strategies for stock index futures contracts, including continuous hedging and minimum discount strategies, with parameters such as annualized return, volatility, maximum drawdown, and net value provided for CSI 500, CSI 300, SSE 50, and CSI 1000 indices[42][47][50][53] - The Cinda-VIX index reflects market expectations of future volatility for major indices, with 30-day VIX values reported as 23.52 for SSE 50, 23.65 for CSI 300, 34.78 for CSI 500, and 35.24 for CSI 1000[56] - The Cinda-SKEW index captures the skewness of implied volatility for different strike prices, with values reported as 95.22 for SSE 50, 97.05 for CSI 300, 98.08 for CSI 500, and 100.16 for CSI 1000[63]